Microstructures and mechanical properties of the Mg–4Y–2.5Nd–0.6Zr (wt%) alloy in the as-cast, as-rolled, and rolled-T5 conditions have been investigated. Results showed that the as-cast sample mainly consisted of the α-Mg matrix, network-like Mg41Nd5 phase, and cuboid-shaped Mg24Y5 particles. For the as-rolled sample, the thermally stable Mg24Y5 particles located at both grain boundaries and matrix, and the average grain size was greatly refined to about 15 μm. Yield strength, ultimate tensile strength, and elongation of as-rolled samples were 290 MPa, 235 MPa, and 10%, respectively. They were enhanced by 48.7%, 56.7%, and 38.9% correspondingly compared with those of the as-cast sample. After isothermal aging at 250 °C for 4 h, the optimal mechanical properties can be obtained. Besides, the tensile strengths of as-rolled and rolled-T5 samples decreased gradually with a gradual increase of ductility from room temperature to 300 °C. Quasicleavage and cleavage fracture were the fracture patterns of as-rolled and rolled-T5 samples, respectively, at room temperature. For samples under the two conditions, fracture mode similarly changed with the increase of test temperatures, and ductile fracture can be observed at higher temperature.